TEXT-Fitch rates Free Mobility No. 6 asset-backed notes

Reuters Staff

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Link to Fitch Ratings' Report: Free Mobility No. 6 UG (haftungsbeschraenkt)Dec 10 - Fitch Ratings has assigned Free Mobility No. 6 UG's
(haftungsbeschraenkt) upcoming issue of EUR503.4m asset-backed notes expected
ratings as follows:
EUR437.5m class A , due July 2021: 'AAAsf(exp)'; Outlook Stable
EUR28.6m class B, due July 2021: 'A-sf(exp)'; Outlook Stable
The final ratings are contingent upon the receipt of final documents conforming
to the information already received, and satisfactory review of legal opinions
to support the agency's analytical approach.
The expected ratings are based on Fitch's assessment of FFS Bank GmbH's
origination and servicing procedures, the agency's expectations of future asset
performance, the available credit enhancement, and the transaction's legal
structure.
The issuance proceeds will be used to purchase a portfolio of auto loan
receivables originated by FFS Bank. The receivables are secured by the financed
vehicles as well as related collateral and are granted mostly to private
borrowers. The transaction is static and will start amortising sequentially from
closing. The portfolio consists of 55,884 loan contracts, with an outstanding
aggregate principal balance of EUR501.4m and a weighted average remaining term
of 41.2 months. The loans have been granted by FFS Bank to buyers of new (81.1%)
and used cars (18.9%). The portfolio is highly granular in terms of regional
distribution within Germany and debtor concentration, with the top 25 obligors
accounting for 0.3% of the portfolio notional. However, there is a certain
concentration towards Hyundai and Subaru vehicles, as the originator acts as
captive bank for these manufacturers in Germany.
Initial credit enhancement for the class A notes will be 13.1%, comprising
overcollateralisation achieved by the subordination of the class B notes (5.7%)
and a sub-loan including the reserve fund (7.4%). The reserve fund will be fully
funded at closing. Initial credit enhancement for the class B notes is 7.4%,
provided by the sub-loan including the reserve fund. Fitch's base case
expectation for the portfolio lifetime default rate is 2.5% and 50% for the
recovery rate.
A reserve fund of roughly EUR2m (0.4% of the initial outstanding) will be
available on the closing date and will amortise to 0.75% of the aggregated notes
plus EUR80,000. The liquidity reserve floor is EUR1m. The reserve will provide
liquidity coverage first and amounts released due to amortisation of the reserve
will be available to cover any outstanding amounts on the principal deficiency
ledger. As such, the reserve also provides credit enhancement.
The transaction is a securitisation of auto loans originated by FFS Bank. Free
Mobility No. 6 UG (haftungsbeschraenkt) is a special purpose company
incorporated with limited liability under German law.
A presale report, including further information on transaction related stress
and sensitivity analysis, and material sources of information that were used to
prepare the credit rating is available at www.fitchratings.com.
Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
Sources of information used to assess these ratings were the originator,
arranger and transaction legal documentation.
Applicable criteria, 'EMEA Consumer ABS Rating Criteria', dated 12 July 2012;
and 'Counterparty Criteria for Structured Finance Transactions', dated 30 May
2012, are available at www.fitchratings.com.
Applicable Criteria and Related Research:
EMEA Consumer ABS Rating Criteria
Counterparty Criteria for Structured Finance Transactions